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Identifying the causal structure of systems with multiple dynamic elements is critical to several scientific disciplines. The conventional approach is to conduct statistical tests of causality, for example with Granger Causality, between observed signals that are selected a priori. Here it is posited that, in many systems, the causal relations are embedded in a latent space that is expressed in the observed data as a linear mixture. A technique for blindly identifying the latent sources is presented: the observations are projected into pairs of components -- driving and driven -- to maximize the strength of causality between the pairs. This leads to an optimization problem with closed form expressions for the objective function and gradient that can be solved with off-the-shelf techniques. After demonstrating proof-of-concept on synthetic data with known latent structure, the technique is applied to recordings from the human brain and historical cryptocurrency prices. In both cases, the approach recovers multiple strong causal relationships that are not evident in the observed data. The proposed technique is unsupervised and can be readily applied to any multiple time series to shed light on the causal relationships underlying the data.

How does one find dimensions in multivariate data that are reliably expressed across repetitions? For example, in a brain imaging study one may want to identify combinations of neural signals that are reliably expressed across multiple trials or subjects. For a behavioral assessment with multiple ratings, one may want to identify an aggregate score that is reliably reproduced across raters. Correlated Components Analysis (CorrCA) addresses this problem by identifying components that are maximally correlated between repetitions (e.g. trials, subjects, raters). Here we formalize this as the maximization of the ratio of between-repetition to within-repetition covariance. We show that this criterion maximizes repeat-reliability, defined as mean over variance across repeats, and that it leads to CorrCA or to multi-set Canonical Correlation Analysis, depending on the constraints. Surprisingly, we also find that CorrCA is equivalent to Linear Discriminant Analysis for zero-mean signals, which provides an unexpected link between classic concepts of multivariate analysis. We present an exact parametric test of statistical significance based on the F-statistic for normally distributed independent samples, and present and validate shuffle statistics for the case of dependent samples. Regularization and extension to non-linear mappings using kernels are also presented. The algorithms are demonstrated on a series of data analysis applications, and we provide all code and data required to reproduce the results.

We performed simultaneous recordings of electroencephalography (EEG) from multiple students in a classroom, and measured the inter-subject correlation (ISC) of activity evoked by a common video stimulus. The neural reliability, as quantified by ISC, has been linked to engagement and attentional modulation in earlier studies that used high-grade equipment in laboratory settings. Here we reproduce many of the results from these studies using portable low-cost equipment, focusing on the robustness of using ISC for subjects experiencing naturalistic stimuli. The present data shows that stimulus-evoked neural responses, known to be modulated by attention, can be tracked in for groups of students with synchronized EEG acquisition. This is a step towards real-time inference of engagement in the classroom., Comment: 14 pages, 5 figures, 3 tables. Preprint version. Revision of original preprint. Supplementary materials added as ancillary file

Due to their high signal-to-noise ratio (SNR) and robustness to artifacts, steady state visual evoked potentials (SSVEPs) are a popular technique for studying neural processing in the human visual system. SSVEPs are conventionally analyzed at individual electrodes or linear combinations of electrodes which maximize some variant of the SNR. Here we exploit the fundamental assumption of evoked responses -- reproducibility across trials -- to develop a technique that extracts a small number of high SNR, maximally reliable SSVEP components. This novel spatial filtering method operates on an array of Fourier coefficients and projects the data into a low-dimensional space in which the trial-to-trial spectral covariance is maximized. When applied to two sample data sets, the resulting technique recovers physiologically plausible components (i.e., the recovered topographies match the lead fields of the underlying sources) while drastically reducing the dimensionality of the data (i.e., more than 90% of the trial-to-trial reliability is captured in the first four components). Moreover, the proposed technique achieves a higher SNR than that of the single-best electrode or the Principal Components. We provide a freely-available MATLAB implementation of the proposed technique, herein termed "Reliable Components Analysis"., Comment: 12 pages, 7 figures